December 19, 2019
We introduce a new text-mining methodology that extracts sentiment information from news articles to predict asset returns.
December 17, 2019
Across a broad set of popular active fixed income categories, we find that passive exposures to traditional risk premia (especially exposure to credit risk) explain the majority of fixed income manager active returns.
October 11, 2019
Despite its unavoidable deficiency caused by current regulations, we believe that lot layering aligns tax and economics more closely than any of the “aggregation” methods presently used by most hedge funds.
October 10, 2019
Combining several large data sets, we compute the empirical ESG-efficient frontier and show the costs and benefits of responsible investing.
Market Risk and Efficiency
September 19, 2019
We discuss the effects of market liquidity risk on asset pricing, investment management, corporate finance, banking, financial crises, macroeconomics, monetary policy, fiscal policy, and other economic areas.
August 21, 2019
Are risk parity strategies hiding an implicit short volatility? To find out, we simulated stylized versions of three asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we compared the trading behavior and returns of each.
July 2, 2019
We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.
July 1, 2019
We find that credit long/short managers tend to have high passive exposure to the credit risk premium. In contrast, we find that high-yield-focused long-only managers provide less exposure to the credit risk premium than their respective benchmarks.
June 13, 2019
We evaluate the tax benefit of dividend avoidance for quantitative multi-style strategies and find that dividend avoidance generally reduces implementation efficiency, thus lowering expected pre-tax returns.
May 22, 2019
We propose a new latent factor conditional asset pricing model, which delivers out-of-sample pricing errors that are far smaller (and generally insignificant) compared to other leading factor models.